Chu ZHANG
張處
PhD in Finance
The University of Chicago, 1992

Head and Chair Professor
Department of Finance

Director of Center for Investing



(852) 2358 7684
czhang@ust.hk
Room LSK5006
Personal Web

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ORCID
0000-0002-5469-906X

Scopus ID
56097258700




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Asset pricing
Investments
Asian financial markets
Derivatives



Publications

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All Years 47 2022 0 2021 2 2020 1 2019 1 2018 5 2017 4 2016 34

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Expand All Collapse All


2021 2

Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
Management Science, v. 67, (9), September 2021, p. 5755-5775
Sun, Chengzhu; Wang, Shujing; Zhang, Chu Article
Why Did the Investment-Cash Flow Sensitivity Decline over Time?
Journal of Financial and Quantitative Analysis, v. 56, (6), September 2021, p. 2272-2308
Wang, Zhen; Zhang, Chu Article

2020 1

Is information risk priced? Evidence from abnormal idiosyncratic volatility
Journal of Financial Economics, v. 135, (2), February 2020, p. 528-554
Yang, Yungchiang; Zhang, Bohui; Zhang, Chu Article

2019 1

Counterparty Credit Risk and Derivatives Pricing
Journal of Financial Economics, v.134, (3), December 2019, p. 647-668
Li, Gang; Zhang, Chu Article

2018 5

Forward-Looking Tail Risk Measures
International Risk Management Conference (IRMC 2018), Paris, France, 7-8 June 2018
Huggenberger, Markus; Zhang, Chu; Zhou, Ti Conference paper
Forward-Looking Tail Risk Measures
The 11th Annual Society for Financial Econometrics Conference (SoFiE 2018), Lugano, Switzerland, 11-14 June 2018
Huggenberger, Markus; Zhang, Chu; Zhou, Ti Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
The 31st Australasian Finance and Banking Conference (AFBC 2018), Sydney, 13-15 December 2018
Li, Gang; Zhang, Chu Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
New Zealand Finance Meeting (NZFM 2018), Queenstown, New Zealand, 17-19 December 2018
Li, Gang; Zhang, Chu Conference paper
The Relative Index Level and Index-Options Pricing
CUHK Derivatives and Quantitative Investing Conference, CUHK Business School Town Centre, Hong Kong, 26 October 2018
Zhang, Chu; Li, Gang Conference paper

2017 4

Forward-Looking Tail Risk Measures
The International Finance and Banking Society Oxford Conference (IFABS 2017), Oxford, UK, 15-17 July 2017
Huggenberger, Markus; Zhang, Chu; Zhou, Ti Conference paper
Forward-Looking Tail Risk Measures
24th Annual Meeting of the German Finance Association (DGF 2017), Ulm, Germany, 6-7 October 2017
Huggenberger, Markus; Zhang, Chu; Zhou, Ti Conference paper
On an Insider Trading Regulation of Unlocked Restricted Stocks in China
2017 China International Conference in Finance, Hangzhou, China, 12-15 July 2017
Lian, Peng; Wang, Kemin; Zhang, Chu Conference paper
Variance Premiums for the Long Term and Short Term
The Third Annual Volatility Institute Conference at NYU Shanghai, Derivatives and Volatility, Shanghai, 17 November 2017
Elkamhi, Redouane; Jeon, Yoontae; Zhang, Chu Conference paper

2016 1

内部人身份与内部人交易信息含量研究
14th annual conference, China International Conference in Finance, 7-10 July 2016
廉鹏; 王克敏; 张处 Conference paper

2015 4

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
2015 Society of Financial Studies Finance Cavalcade, Atlanta, GA, USA, 17-20 May 2015
Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
China International Conference in Finance: 13th Annual Conference, Shenzhen, China, 9-12 July 2015
Zhang, Chu; Zhou, Ti Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Asian Finance Association (AsianFA) 2015 Conference, Changsha, Hunan, China, 29 June - 2 July 2015
Zhang, Chu; Zhou, Ti Conference paper
The Peso Problem: Evidence from the S&P 500 Options Market
28th Australasian Finance & Banking Conference, Sydney, Australia, 15-18 December 2015
Zhang, Chu; Zhou, Ti Conference paper

2014 1

Investment, Idiosyncratic Risk, and Growth Options
2014 FMA European Conference, Maastricht, Netherlands, 11-13 June 2014
Wang, Shujing; Zhang, Chu Conference paper

2013 2

Diagnosing affine models of options pricing: Evidence from VIX
Journal of Financial Economics, v. 107, (1), January 2013, p. 199-219
Li, Gang; Zhang, Chu Article
Investment, Idiosyncratic Risk, and Growth Options
26th Australasian Finance and Banking Conference, Sydney, Australia, 17-19 December 2013
Wang, Shujing; Zhang, Chu Conference paper

2012 1

Why are Excess Returns on China's Treasury Bonds so Predictable? The Role of the Monetary System
Journal of Banking & Finance, v. 36, (1), January 2012, p. 239-248
Fan, Longzhen; Tian, Shu; Zhang, Chu Article

2011 3

An empirical evaluation of China's monetary policies
Journal of Macroeconomics, v. 33, (2), June 2011, p. 358-371
Fan, Longzhen; Yu, Yihong; Zhang, Chu Article
Why are Derivative Warrants more Expensive than Options? An Empirical Study
Journal of Financial and Quantitative Analysis, v. 46, (1), February 2011, p. 275-297
Li, Gang; Zhang, Chu Article
Diagnosing Affine Models of Options Pricing: Evidence from VIX
Financial Management Association Annual Meeting (Asian), Queenstown, New Zealand, April 6-8, 2011
Li, Gang; Zhang, Chu Conference paper

2010 3

A Reexamination of the Causes of Time-Varying Stock Return Volatilities
Journal of Financial and Quantitative Analysis, v. 45, (3), June 2010, p. 663-684
Zhang, Chu Article
On the Number of State Variables in Options Pricing
Management Science, v. 56, (11), November 2010, p. 2058-2075
Li, Gang; Zhang, Chu Article
Why Are the Returns on Small Growth Stocks So Low and Are These Low Returns Expected?
China International Conference in Finance. Beijing, China, 4-7 July 2010
Zhang, Chu Conference paper

2009 4

Bankruptcy prediction: the case of Japanese listed companies
Review of accounting studies, v. 14, (4), December 2009, p. 534-558
Xu, Ming; Zhang, Chu Article
On the Explanatory Power of Firm-specific Variables in Cross-sections of Expected Returns
Journal of Empirical Finance, v. 16, (2), March 2009, p. 306-317
Zhang, Chu Article
Testing the APT with the Maximum Sharpe Ratio of Extracted Factors
Management Science, v. 55, (7), July 2009, p. 1255-1266
Zhang, Chu Article
中国债券市场债券风险溢酬的宏观因素影响分析
管理科学学报=Journal of Management Sciences in China, v. 12, (6), December 2009, p. 116-124
范龙振; 张处 Article

2007 1

Beyond segmentation: The case of China's repo markets
Journal of Banking & Finance, v. 31, (3), March 2007, p. 939-954
Fan, Longzhen; Zhang, Chu Article

2006 2

The Chinese interbank repo market: An analysis of term premiums
Journal of Futures Markets, v. 26, (2), February 2006, p. 153-167
Fan, Longzhen; Zhang, Chu Article
Why did individual stocks become more volatile?
Journal of Business, v. 79, (1), January 2006, p. 259-292
Wei, Steven X.; Zhang, Chu Article

2005 1

Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
Journal of Banking & Finance, v. 29, (3), March 2005, p. 603-621
Wei, Steven X.; Zhang, Chu Article

2004 1

The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000
Pacific Basin Finance Journal, v. 12, (3), June 2004, p. 245-269
Xu, Ming; Zhang, Chu Article

2003 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-variance Analysis
Journal of Multinational Financial Management, v. 13, (4-5), 2003, p. 443-463
Wei, S.X.; Zhang, C. Article
新股首次公开发行的抑价现象：一种合作博弈的理论方法
复旦学报. 自然科学版=Journal of Fudan University.Natural Sciences, v. 2003, (05), 2003, p. 643-654
張處 Article

2001 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis

Wei, Steven X.; Zhang, Chu Conference paper
The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000

Xu, Ming; Zhang, Chu Conference paper

1999 4

Asset Pricing Specification Errors and Performance Evaluation
European Finance Review, renamed Review of Finance, v. 3, (2), August 1999, p. 205-232
He, Jia; Ng, Lilian; Zhang, Chu Article
GMM tests of stochastic discount factor models with useless factors
Journal of Financial Economics, v. 54, (1), October 1999, p. 103-127
Kan, Raymond; Zhang, Chu Article
Market Reactions to the Financial Posts “Hot Stock” Column
Canadian Journal of Administrative Sciences, v. 16, (2), June 1999, p. 118-131
Mehrotra, Vikas; Yu, Wayne W.; Zhang, Chu Article
Two-pass Tests of Asset Pricing Models with Useless Factors
Journal of Finance, v. 54, (1), February 1999, p. 203-235
Kan, Raymond; Zhang, Chu Article

1996 1

Tests of relations among marketwide factors, firm-specific variables and stock returns using a conditional asset pricing model
Journal of Finance, v. 51, (5), December 1996, p. 1891-1908
He, Jia; Kan, Raymond; Ng, Lilian; Zhang, Chu Article

1993 1

Investment under risk in property rights
China Economic Review, v. 4, (1), March 1993, p. 49-53
Wen, Guanzhong James; Zhang, Chu Article


Expand All Collapse All


Article 2

Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
Management Science, v. 67, (9), September 2021, p. 5755-5775
Sun, Chengzhu; Wang, Shujing; Zhang, Chu
Why Did the Investment-Cash Flow Sensitivity Decline over Time?
Journal of Financial and Quantitative Analysis, v. 56, (6), September 2021, p. 2272-2308
Wang, Zhen; Zhang, Chu


Expand All Collapse All


Article 1

Is information risk priced? Evidence from abnormal idiosyncratic volatility
Journal of Financial Economics, v. 135, (2), February 2020, p. 528-554
Yang, Yungchiang; Zhang, Bohui; Zhang, Chu


Expand All Collapse All


Article 1

Counterparty Credit Risk and Derivatives Pricing
Journal of Financial Economics, v.134, (3), December 2019, p. 647-668
Li, Gang; Zhang, Chu


Expand All Collapse All


Conference paper 5

Forward-Looking Tail Risk Measures
International Risk Management Conference (IRMC 2018), Paris, France, 7-8 June 2018
Huggenberger, Markus; Zhang, Chu; Zhou, Ti
Forward-Looking Tail Risk Measures
The 11th Annual Society for Financial Econometrics Conference (SoFiE 2018), Lugano, Switzerland, 11-14 June 2018
Huggenberger, Markus; Zhang, Chu; Zhou, Ti
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
The 31st Australasian Finance and Banking Conference (AFBC 2018), Sydney, 13-15 December 2018
Li, Gang; Zhang, Chu
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
New Zealand Finance Meeting (NZFM 2018), Queenstown, New Zealand, 17-19 December 2018
Li, Gang; Zhang, Chu
The Relative Index Level and Index-Options Pricing
CUHK Derivatives and Quantitative Investing Conference, CUHK Business School Town Centre, Hong Kong, 26 October 2018
Zhang, Chu; Li, Gang


Expand All Collapse All


Conference paper 4

Forward-Looking Tail Risk Measures
The International Finance and Banking Society Oxford Conference (IFABS 2017), Oxford, UK, 15-17 July 2017
Huggenberger, Markus; Zhang, Chu; Zhou, Ti
Forward-Looking Tail Risk Measures
24th Annual Meeting of the German Finance Association (DGF 2017), Ulm, Germany, 6-7 October 2017
Huggenberger, Markus; Zhang, Chu; Zhou, Ti
On an Insider Trading Regulation of Unlocked Restricted Stocks in China
2017 China International Conference in Finance, Hangzhou, China, 12-15 July 2017
Lian, Peng; Wang, Kemin; Zhang, Chu
Variance Premiums for the Long Term and Short Term
The Third Annual Volatility Institute Conference at NYU Shanghai, Derivatives and Volatility, Shanghai, 17 November 2017
Elkamhi, Redouane; Jeon, Yoontae; Zhang, Chu


Expand All Collapse All


Conference paper 1

内部人身份与内部人交易信息含量研究
14th annual conference, China International Conference in Finance, 7-10 July 2016
廉鹏; 王克敏; 张处


Expand All Collapse All


Conference paper 4

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
2015 Society of Financial Studies Finance Cavalcade, Atlanta, GA, USA, 17-20 May 2015
Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
China International Conference in Finance: 13th Annual Conference, Shenzhen, China, 9-12 July 2015
Zhang, Chu; Zhou, Ti
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Asian Finance Association (AsianFA) 2015 Conference, Changsha, Hunan, China, 29 June - 2 July 2015
Zhang, Chu; Zhou, Ti
The Peso Problem: Evidence from the S&P 500 Options Market
28th Australasian Finance & Banking Conference, Sydney, Australia, 15-18 December 2015
Zhang, Chu; Zhou, Ti


Expand All Collapse All


Conference paper 1

Investment, Idiosyncratic Risk, and Growth Options
2014 FMA European Conference, Maastricht, Netherlands, 11-13 June 2014
Wang, Shujing; Zhang, Chu


Expand All Collapse All


Article 1

Diagnosing affine models of options pricing: Evidence from VIX
Journal of Financial Economics, v. 107, (1), January 2013, p. 199-219
Li, Gang; Zhang, Chu

Conference paper 1

Investment, Idiosyncratic Risk, and Growth Options
26th Australasian Finance and Banking Conference, Sydney, Australia, 17-19 December 2013
Wang, Shujing; Zhang, Chu


Expand All Collapse All


Article 1

Why are Excess Returns on China's Treasury Bonds so Predictable? The Role of the Monetary System
Journal of Banking & Finance, v. 36, (1), January 2012, p. 239-248
Fan, Longzhen; Tian, Shu; Zhang, Chu


Expand All Collapse All


Article 2

An empirical evaluation of China's monetary policies
Journal of Macroeconomics, v. 33, (2), June 2011, p. 358-371
Fan, Longzhen; Yu, Yihong; Zhang, Chu
Why are Derivative Warrants more Expensive than Options? An Empirical Study
Journal of Financial and Quantitative Analysis, v. 46, (1), February 2011, p. 275-297
Li, Gang; Zhang, Chu

Conference paper 1

Diagnosing Affine Models of Options Pricing: Evidence from VIX
Financial Management Association Annual Meeting (Asian), Queenstown, New Zealand, April 6-8, 2011
Li, Gang; Zhang, Chu


Expand All Collapse All


Article 2

A Reexamination of the Causes of Time-Varying Stock Return Volatilities
Journal of Financial and Quantitative Analysis, v. 45, (3), June 2010, p. 663-684
Zhang, Chu
On the Number of State Variables in Options Pricing
Management Science, v. 56, (11), November 2010, p. 2058-2075
Li, Gang; Zhang, Chu

Conference paper 1

Why Are the Returns on Small Growth Stocks So Low and Are These Low Returns Expected?
China International Conference in Finance. Beijing, China, 4-7 July 2010
Zhang, Chu


Expand All Collapse All


Article 4

Bankruptcy prediction: the case of Japanese listed companies
Review of accounting studies, v. 14, (4), December 2009, p. 534-558
Xu, Ming; Zhang, Chu
On the Explanatory Power of Firm-specific Variables in Cross-sections of Expected Returns
Journal of Empirical Finance, v. 16, (2), March 2009, p. 306-317
Zhang, Chu
Testing the APT with the Maximum Sharpe Ratio of Extracted Factors
Management Science, v. 55, (7), July 2009, p. 1255-1266
Zhang, Chu
中国债券市场债券风险溢酬的宏观因素影响分析
管理科学学报=Journal of Management Sciences in China, v. 12, (6), December 2009, p. 116-124
范龙振; 张处


Expand All Collapse All


Article 1

Beyond segmentation: The case of China's repo markets
Journal of Banking & Finance, v. 31, (3), March 2007, p. 939-954
Fan, Longzhen; Zhang, Chu


Expand All Collapse All


Article 2

The Chinese interbank repo market: An analysis of term premiums
Journal of Futures Markets, v. 26, (2), February 2006, p. 153-167
Fan, Longzhen; Zhang, Chu
Why did individual stocks become more volatile?
Journal of Business, v. 79, (1), January 2006, p. 259-292
Wei, Steven X.; Zhang, Chu


Expand All Collapse All


Article 1

Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
Journal of Banking & Finance, v. 29, (3), March 2005, p. 603-621
Wei, Steven X.; Zhang, Chu


Expand All Collapse All


Article 1

The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000
Pacific Basin Finance Journal, v. 12, (3), June 2004, p. 245-269
Xu, Ming; Zhang, Chu


Expand All Collapse All


Article 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-variance Analysis
Journal of Multinational Financial Management, v. 13, (4-5), 2003, p. 443-463
Wei, S.X.; Zhang, C.
新股首次公开发行的抑价现象：一种合作博弈的理论方法
复旦学报. 自然科学版=Journal of Fudan University.Natural Sciences, v. 2003, (05), 2003, p. 643-654
張處


Expand All Collapse All


Conference paper 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis

Wei, Steven X.; Zhang, Chu
The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000

Xu, Ming; Zhang, Chu


Expand All Collapse All


Article 4

Asset Pricing Specification Errors and Performance Evaluation
European Finance Review, renamed Review of Finance, v. 3, (2), August 1999, p. 205-232
He, Jia; Ng, Lilian; Zhang, Chu
GMM tests of stochastic discount factor models with useless factors
Journal of Financial Economics, v. 54, (1), October 1999, p. 103-127
Kan, Raymond; Zhang, Chu
Market Reactions to the Financial Posts “Hot Stock” Column
Canadian Journal of Administrative Sciences, v. 16, (2), June 1999, p. 118-131
Mehrotra, Vikas; Yu, Wayne W.; Zhang, Chu
Two-pass Tests of Asset Pricing Models with Useless Factors
Journal of Finance, v. 54, (1), February 1999, p. 203-235
Kan, Raymond; Zhang, Chu


Expand All Collapse All


Article 1

Tests of relations among marketwide factors, firm-specific variables and stock returns using a conditional asset pricing model
Journal of Finance, v. 51, (5), December 1996, p. 1891-1908
He, Jia; Kan, Raymond; Ng, Lilian; Zhang, Chu


Expand All Collapse All


Article 1

Investment under risk in property rights
China Economic Review, v. 4, (1), March 1993, p. 49-53
Wen, Guanzhong James; Zhang, Chu


Expand All Collapse All


2016 1

内部人身份与内部人交易信息含量研究
14th annual conference, China International Conference in Finance, 7-10 July 2016
廉鹏; 王克敏; 张处 Conference paper

2015 4

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
2015 Society of Financial Studies Finance Cavalcade, Atlanta, GA, USA, 17-20 May 2015
Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
China International Conference in Finance: 13th Annual Conference, Shenzhen, China, 9-12 July 2015
Zhang, Chu; Zhou, Ti Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Asian Finance Association (AsianFA) 2015 Conference, Changsha, Hunan, China, 29 June - 2 July 2015
Zhang, Chu; Zhou, Ti Conference paper
The Peso Problem: Evidence from the S&P 500 Options Market
28th Australasian Finance & Banking Conference, Sydney, Australia, 15-18 December 2015
Zhang, Chu; Zhou, Ti Conference paper

2014 1

Investment, Idiosyncratic Risk, and Growth Options
2014 FMA European Conference, Maastricht, Netherlands, 11-13 June 2014
Wang, Shujing; Zhang, Chu Conference paper

2013 2

Diagnosing affine models of options pricing: Evidence from VIX
Journal of Financial Economics, v. 107, (1), January 2013, p. 199-219
Li, Gang; Zhang, Chu Article
Investment, Idiosyncratic Risk, and Growth Options
26th Australasian Finance and Banking Conference, Sydney, Australia, 17-19 December 2013
Wang, Shujing; Zhang, Chu Conference paper

2012 1

Why are Excess Returns on China's Treasury Bonds so Predictable? The Role of the Monetary System
Journal of Banking & Finance, v. 36, (1), January 2012, p. 239-248
Fan, Longzhen; Tian, Shu; Zhang, Chu Article

2011 3

An empirical evaluation of China's monetary policies
Journal of Macroeconomics, v. 33, (2), June 2011, p. 358-371
Fan, Longzhen; Yu, Yihong; Zhang, Chu Article
Why are Derivative Warrants more Expensive than Options? An Empirical Study
Journal of Financial and Quantitative Analysis, v. 46, (1), February 2011, p. 275-297
Li, Gang; Zhang, Chu Article
Diagnosing Affine Models of Options Pricing: Evidence from VIX
Financial Management Association Annual Meeting (Asian), Queenstown, New Zealand, April 6-8, 2011
Li, Gang; Zhang, Chu Conference paper

2010 3

A Reexamination of the Causes of Time-Varying Stock Return Volatilities
Journal of Financial and Quantitative Analysis, v. 45, (3), June 2010, p. 663-684
Zhang, Chu Article
On the Number of State Variables in Options Pricing
Management Science, v. 56, (11), November 2010, p. 2058-2075
Li, Gang; Zhang, Chu Article
Why Are the Returns on Small Growth Stocks So Low and Are These Low Returns Expected?
China International Conference in Finance. Beijing, China, 4-7 July 2010
Zhang, Chu Conference paper

2009 4

Bankruptcy prediction: the case of Japanese listed companies
Review of accounting studies, v. 14, (4), December 2009, p. 534-558
Xu, Ming; Zhang, Chu Article
On the Explanatory Power of Firm-specific Variables in Cross-sections of Expected Returns
Journal of Empirical Finance, v. 16, (2), March 2009, p. 306-317
Zhang, Chu Article
Testing the APT with the Maximum Sharpe Ratio of Extracted Factors
Management Science, v. 55, (7), July 2009, p. 1255-1266
Zhang, Chu Article
中国债券市场债券风险溢酬的宏观因素影响分析
管理科学学报=Journal of Management Sciences in China, v. 12, (6), December 2009, p. 116-124
范龙振; 张处 Article

2007 1

Beyond segmentation: The case of China's repo markets
Journal of Banking & Finance, v. 31, (3), March 2007, p. 939-954
Fan, Longzhen; Zhang, Chu Article

2006 2

The Chinese interbank repo market: An analysis of term premiums
Journal of Futures Markets, v. 26, (2), February 2006, p. 153-167
Fan, Longzhen; Zhang, Chu Article
Why did individual stocks become more volatile?
Journal of Business, v. 79, (1), January 2006, p. 259-292
Wei, Steven X.; Zhang, Chu Article

2005 1

Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
Journal of Banking & Finance, v. 29, (3), March 2005, p. 603-621
Wei, Steven X.; Zhang, Chu Article

2004 1

The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000
Pacific Basin Finance Journal, v. 12, (3), June 2004, p. 245-269
Xu, Ming; Zhang, Chu Article

2003 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-variance Analysis
Journal of Multinational Financial Management, v. 13, (4-5), 2003, p. 443-463
Wei, S.X.; Zhang, C. Article
新股首次公开发行的抑价现象：一种合作博弈的理论方法
复旦学报. 自然科学版=Journal of Fudan University.Natural Sciences, v. 2003, (05), 2003, p. 643-654
張處 Article

2001 2

Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis

Wei, Steven X.; Zhang, Chu Conference paper
The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000

Xu, Ming; Zhang, Chu Conference paper

1999 4

Asset Pricing Specification Errors and Performance Evaluation
European Finance Review, renamed Review of Finance, v. 3, (2), August 1999, p. 205-232
He, Jia; Ng, Lilian; Zhang, Chu Article
GMM tests of stochastic discount factor models with useless factors
Journal of Financial Economics, v. 54, (1), October 1999, p. 103-127
Kan, Raymond; Zhang, Chu Article
Market Reactions to the Financial Posts “Hot Stock” Column
Canadian Journal of Administrative Sciences, v. 16, (2), June 1999, p. 118-131
Mehrotra, Vikas; Yu, Wayne W.; Zhang, Chu Article
Two-pass Tests of Asset Pricing Models with Useless Factors
Journal of Finance, v. 54, (1), February 1999, p. 203-235
Kan, Raymond; Zhang, Chu Article

1996 1

Tests of relations among marketwide factors, firm-specific variables and stock returns using a conditional asset pricing model
Journal of Finance, v. 51, (5), December 1996, p. 1891-1908
He, Jia; Kan, Raymond; Ng, Lilian; Zhang, Chu Article

1993 1

Investment under risk in property rights
China Economic Review, v. 4, (1), March 1993, p. 49-53
Wen, Guanzhong James; Zhang, Chu Article


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 3 2020-21 Summer 1 2020-21 Spring 1 2020-21 Winter 0 2020-21 Fall 0

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DBAP5130 Frontiers in Finance Research
UROP1100E Undergraduate Research Opportunities Series 1
UROP2100E Undergraduate Research Opportunities Series 2


UROP1100D Undergraduate Research Opportunities Series 1


FINA7900E Doctoral Seminar: Continuous Time Finance


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy TANG, Xiaorui (co-supervision)
Financial Technology( 2021 - )

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Graduated RPGs

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Doctor of Philosophy LI, Ruicong
Finance( Completed in 2021 )

XU, Chenjie
Finance( Completed in 2019 )









ProjectsFrom January 2020 to December 2022

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All Projects 7 Leading Projects 5 Participating Projects 2

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Developing Hong Kong as a Global Green Finance Centre


發展香港成為全球的綠色金融中心 Leading


RGC - Theme-based Research Scheme


Project Team (HKUST)
ZHANG Chu (Lead)
CHEN Zhanhui
DELINA Laurence Laurencio
FUNG Jimmy Chi Hung
HUANG Allen Hao
HUI Kai Lung
IM Eun Soon
LAFON-VINAIS Veronique J A
LAU Alexis Kai Hon
LI Yingying
LOH Kung Wai Christine
MUKHERJEE Abhiroop
PANAYOTOV George Kamenov
PARK Albert Francis
QI Ye
SHI Xiaoming
STEUER Benjamin
TAM Kar Yan
ZALDOKAS Alminas


2022 -




The Development of Fintech, Insurtech, and Regtech Manpower to Sustain Hong Kong as a Leading Global Financial Center


調研金融、保險和監管科技人力狀況以保持香港全球領先的金融中心地位 Participating


RGC - Strategic Public Policy Research Funding Scheme


Project Team (HKUST)
TAM Kar Yan (Lead)
GONG Yaping
ZHANG Chu


2021 -




Hong Kong's Derivative Warrants Market


香港的權證市場 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHANG Chu (Lead)


2021 -




Contributing to the Development of Hong Kong into a Global Fintech Hub


促進香港成為全球的金融科技樞紐 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
TAM Kar Yan (Lead)
BHATTACHARYA Utpal
CHEN Yanzhen
HUANG Allen Hao
HUI Kai Lung
JAMES Lancelot Fitzgerald
LI Yingying
LING Shiqing
SO Mike Ka Pui
XU Yan
YANG Yi
YEUNG Dit Yan
YOU Haifeng
ZHANG Chu
ZHENG Rong
ZHENG Xinghua


2019 -




Corporate News and Asset Return Volatility


公司新聞與資產回報波幅 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHANG Chu (Lead)


2019 - 2021




Corporate events and information disclosure: evidence from diffusive volatility, jump intensity, and jump size of the stock returns


公司事件和信息披露：來自股票收益的擴散波幅和跳躍強度的證據 Leading


RGC - General Research Fund


Project Team (HKUST)
ZHANG Chu (Lead)


2018 - 2020




Issues on China's financial markets and institutions Leading


Rega Technologies Limited


Project Team (HKUST)
ZHANG Chu (Lead)


2011 -